Sección: ArtículosTítulo: Key q-duration : a framework for hedging longevity risk / Johnny Siu-Hang Li, Ancheng LuoAutor: Siu-Hang Li, JohnnyNotas: Sumario: When hedging longevity risk with standardized contracts, the hedger needs to calibrate the hedge carefully so that it can effectively reduce the risk. In this article, we present a calibration method that is based on matching mortality rate sensitivities. Specifically, we introduce a measure called key q-duration, which allows us to estimate the price sensitivity of a life-contingent liability to each portion of the underlying mortality curve. Given this measure, one can easily construct a longevity hedge with a small number of q-forward contracts. We further propose an extension for hedging the longevity risk associated with multiple birth cohorts, and another extension for accommodating population basis risk.Registros relacionados: En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 05/11/2012 Volumen 42 Número 2 - noviembre 2012 Otras clasificaciones: 2Derechos: In Copyright (InC)Referencias externas:
